Risky things are a little bit dangerous. It would be risky for you to attempt to hike up a mountain in the wintertime without the proper gear.
Physically hazardous things are risky, like a risky sky diving trick or a risky airplane landing attempt in high winds. It can also be risky to do something that makes you feel vulnerable, like telling someone how much you like them, or reading your poem in front of an audience. People commonly talk about money using risky too: "I think your brother's food truck would be a risky investment."